UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21619

Nuveen S&P 500 Buy-Write Income Fund

(Exact name of registrant as specified in charter)

    333 West Wacker Drive, Chicago, Illinois 60606    

(Address of principal executive offices) (Zip code)

Gifford R. Zimmerman—Vice President and Secretary

    333 West Wacker Drive, Chicago, Illinois 60606    

(Name and address of agent for service)

Registrant’s telephone number, including area code:     312-917-7700    

Date of fiscal year end:       December 31      

Date of reporting period:  September 30, 2017  

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments

BXMX

Nuveen S&P 500 Buy-Write Income Fund
Portfolio of Investments	September 30, 2017 (Unaudited)

Shares		Description (1)	Value
		LONG-TERM INVESTMENTS – 100.6%
		COMMON STOCKS – 100.6% (2)
		Aerospace & Defense – 2.5%
	57,364	Arconic, Inc.	$	1,427,216
	49,215	Boeing Company		12,510,945
	8,874	Huntington Ingalls Industries Inc.		2,009,429
	21,569	Northrop Grumman Corporation		6,205,833
	36,207	Raytheon Company		6,755,502
	63,296	United Technologies Corporation		7,347,400
		Total Aerospace & Defense		36,256,325
		Air Freight & Logistics – 0.7%
	89,366	United Parcel Service, Inc., Class B		10,731,963
		Airlines – 0.3%
	81,380	United Continental Holdings Inc., (3)		4,954,414
		Auto Components – 0.2%
	25,665	Cooper Tire & Rubber Company		959,871
	85,832	Gentex Corporation		1,699,474
		Total Auto Components		2,659,345
		Automobiles – 0.4%
	324,831	Ford Motor Company		3,888,227
	39,370	Harley-Davidson, Inc.		1,898,028
		Total Automobiles		5,786,255
		Banks – 6.8%
	757,941	Bank of America Corporation		19,206,225
	213,400	Citigroup Inc.		15,522,716
	33,724	Comerica Incorporated		2,571,792
	71,851	Fifth Third Bancorp.		2,010,391
	108,513	First Horizon National Corporation		2,078,024
	275,180	JPMorgan Chase & Co.		26,282,442
	27,680	Lloyds Banking Group PLC, ADR		101,309
	20,320	M&T Bank Corporation		3,272,333
	168,139	U.S. Bancorp		9,010,569
	348,176	Wells Fargo & Company		19,201,906
		Total Banks		99,257,707
		Beverages – 2.2%
	298,211	Coca-Cola Company		13,422,477
	72,441	Monster Beverage Corporation, (3)		4,002,365
	133,358	PepsiCo, Inc.		14,860,082
		Total Beverages		32,284,924
		Biotechnology – 3.8%
	133,643	AbbVie Inc.		11,875,517
	63,704	Amgen Inc.		11,877,611
	23,813	Biogen Inc., (3)		7,456,327
	28,327	Bioverativ, Inc., (3)		1,616,622
	78,645	Celgene Corporation, (3)		11,468,014
	122,751	Gilead Sciences, Inc.		9,945,286
	11,117	Shire plc, ADR		1,702,457
		Total Biotechnology		55,941,834

NUVEEN 1

BXMX	Nuveen S&P 500 Buy-Write Income Fund
	Portfolio of Investments (continued)	September 30, 2017 (Unaudited)

Shares		Description (1)	Value
		Building Products – 0.4%
	28,365	Allegion PLC	$	2,452,722
	88,587	Masco Corporation		3,455,779
		Total Building Products		5,908,501
		Capital Markets – 2.4%
	153,441	Charles Schwab Corporation		6,711,509
	31,680	CME Group, Inc.		4,298,342
	3,613	Donnelley Financial Solutions, Inc., (3)		77,896
	28,291	Eaton Vance Corporation		1,396,727
	33,938	Goldman Sachs Group, Inc.		8,049,754
	73,621	Intercontinental Exchange, Inc.		5,057,763
	39,053	Legg Mason, Inc.		1,535,173
	140,827	Morgan Stanley		6,783,637
	26,522	Waddell & Reed Financial, Inc., Class A		532,297
		Total Capital Markets		34,443,098
		Chemicals – 1.9%
	4,418	AdvanSix, Inc., (3)		175,615
	7,787	Chemours Company (The)		394,100
	201,285	DowDuPont, Inc.		13,934,961
	32,774	Eastman Chemical Company		2,965,719
	48,505	Monsanto Company		5,811,869
	25,424	Olin Corporation		870,772
	80,712	RPM International, Inc.		4,143,754
		Total Chemicals		28,296,790
		Commercial Services & Supplies – 0.4%
	14,145	Deluxe Corporation		1,032,019
	3,613	LSC Communications, Inc.		59,651
	26,475	Pitney Bowes Inc.		370,915
	21,852	R.R. Donnelley & Sons Company		225,076
	56,182	Waste Management, Inc.		4,397,365
		Total Commercial Services & Supplies		6,085,026
		Communications Equipment – 1.1%
	4,101	ADTRAN, Inc.		98,424
	24,808	Ciena Corporation, (3)		545,032
	386,220	Cisco Systems, Inc.		12,988,579
	5,462	Lumentum Holdings Inc., (3)		296,860
	27,205	Motorola Solutions Inc.		2,308,888
	27,916	Viavi Solutions Inc., (3)		264,085
		Total Communications Equipment		16,501,868
		Consumer Finance – 0.9%
	81,418	American Express Company		7,365,072
	61,037	Discover Financial Services		3,935,666
	35,850	Navient Corporation		538,467
	93,115	SLM Corporation, (3)		1,068,029
		Total Consumer Finance		12,907,234
		Containers & Packaging – 0.3%
	20,788	Avery Dennison Corporation		2,044,292
	21,019	Packaging Corporation of America		2,410,459
	5,718	Sonoco Products Company		288,473
		Total Containers & Packaging		4,743,224
		Distributors – 0.2%
	23,190	Genuine Parts Company		2,218,123

2 NUVEEN

Shares		Description (1)	Value
		Diversified Financial Services – 2.2%
	164,379	Berkshire Hathaway Inc., Class B, (3)	$	30,133,958
	53,398	Leucadia National Corporation		1,348,299
		Total Diversified Financial Services		31,482,257
		Diversified Telecommunication Services – 2.2%
	422,493	AT&T Inc.		16,549,051
	41,144	CenturyLink Inc.		777,622
	290,257	Verizon Communications Inc.		14,364,819
		Total Diversified Telecommunication Services		31,691,492
		Electric Utilities – 1.6%
	76,701	Duke Energy Corporation		6,436,748
	98,619	Great Plains Energy Incorporated		2,988,156
	66,117	OGE Energy Corp.		2,382,195
	76,389	Pinnacle West Capital Corporation		6,459,454
	116,253	Southern Company		5,712,672
		Total Electric Utilities		23,979,225
		Electrical Equipment – 0.9%
	43,359	Eaton Corporation PLC		3,329,538
	66,926	Emerson Electric Company		4,205,630
	11,240	Hubbell Inc.		1,304,065
	25,015	Rockwell Automation, Inc.		4,457,923
		Total Electrical Equipment		13,297,156
		Electronic Equipment, Instruments & Components – 0.3%
	134,063	Corning Incorporated		4,011,165
		Energy Equipment & Services – 1.1%
	32,409	Diamond Offshore Drilling, Inc., (3)		469,930
	131,642	Halliburton Company		6,059,481
	67,650	Patterson-UTI Energy, Inc.		1,416,591
	119,994	Schlumberger Limited		8,370,781
		Total Energy Equipment & Services		16,316,783
		Equity Real Estate Investment Trusts – 2.4%
	84,230	Apartment Investment & Management Company, Class A		3,694,328
	109,496	Brandywine Realty Trust		1,915,085
	34,687	CBL & Associates Properties Inc.		291,024
	110,050	CubeSmart		2,856,898
	108,072	DCT Industrial Trust Inc.		6,259,530
	110,016	Equity Commonwealth, (3)		3,344,486
	68,970	Healthcare Realty Trust, Inc.		2,230,490
	111,415	Lexington Realty Trust		1,138,661
	55,742	Liberty Property Trust		2,288,767
	11,918	Sabra Health Care REIT Inc.		261,481
	26,716	Senior Housing Properties Trust		522,298
	49,503	Ventas Inc.		3,224,130
	58,810	Welltower Inc.		4,133,167
	80,210	Weyerhaeuser Company		2,729,546
		Total Equity Real Estate Investment Trusts		34,889,891
		Food & Staples Retailing – 1.7%
	99,423	CVS Health Corporation		8,085,078
	138,598	Kroger Co.		2,780,276
	15,017	SUPERVALU, Inc., (3)		326,620
	81,324	Walgreens Boots Alliance Inc.		6,279,839
	103,755	Wal-Mart Stores, Inc.		8,107,416
		Total Food & Staples Retailing		25,579,229

NUVEEN 3

BXMX	Nuveen S&P 500 Buy-Write Income Fund
	Portfolio of Investments (continued)	September 30, 2017 (Unaudited)

Shares		Description (1)	Value
		Food Products – 0.6%
	203,608	Mondelez International Inc., Class A	$	8,278,701
		Gas Utilities – 0.3%
	33,764	Atmos Energy Corporation		2,830,774
	23,481	National Fuel Gas Company		1,329,259
	2,398	ONE Gas Inc.		176,589
		Total Gas Utilities		4,336,622
		Health Care Equipment & Supplies – 2.3%
	159,160	Abbott Laboratories		8,492,778
	47,152	Baxter International, Inc.		2,958,788
	13,397	Halyard Health Inc., (3)		603,267
	28,632	Hill-Rom Holdings Inc.		2,118,768
	67,993	Hologic Inc., (3)		2,494,663
	5,117	Intuitive Surgical, Inc., (3)		5,351,768
	148,378	Medtronic, PLC		11,539,357
		Total Health Care Equipment & Supplies		33,559,389
		Health Care Providers & Services – 2.9%
	46,319	Aetna Inc.		7,365,184
	30,249	Anthem Inc.		5,743,680
	69,194	Brookdale Senior Living Inc., (3)		733,456
	77,789	Express Scripts Holding Company, (3)		4,925,599
	45,526	HCA Healthcare Inc., (3)		3,623,414
	54,246	Henry Schein Inc., (3)		4,447,630
	15,942	Kindred Healthcare Inc.		108,406
	82,065	UnitedHealth Group Incorporated		16,072,430
		Total Health Care Providers & Services		43,019,799
		Health Care Technology – 0.2%
	47,111	Cerner Corporation, (3)		3,359,957
		Hotels, Restaurants & Leisure – 1.7%
	54,924	Carnival Corporation		3,546,443
	34,368	ILG, Inc.		918,657
	3,590	Las Vegas Sands Corp.		230,334
	40,887	Marriott International, Inc., Class A		4,508,201
	90,446	McDonald’s Corporation		14,171,079
	10,623	Wynn Resorts Ltd		1,581,977
		Total Hotels, Restaurants & Leisure		24,956,691
		Household Durables – 0.6%
	13,039	Garmin Limited		703,715
	75,087	KB Home		1,811,098
	62,853	Newell Brands Inc.		2,681,938
	16,680	TopBuild Corporation, (3)		1,087,036
	1,285	Tupperware Brands Corporation		79,439
	13,756	Whirlpool Corporation		2,537,157
		Total Household Durables		8,900,383
		Household Products – 1.7%
	101,528	Colgate-Palmolive Company		7,396,315
	184,511	Procter & Gamble Company		16,786,811
		Total Household Products		24,183,126
		Industrial Conglomerates – 2.6%
	53,106	3M Co.		11,146,949
	610,296	General Electric Company		14,756,957
	74,527	Honeywell International Inc.		10,563,457

4 NUVEEN

Shares		Description (1)	Value
		Industrial Conglomerates (continued)
	9,673	Roper Technologies, Inc.	$	2,354,408
		Total Industrial Conglomerates		38,821,771
		Insurance – 2.7%
	68,887	Allstate Corporation		6,331,404
	101,177	American International Group, Inc.		6,211,256
	41,209	Arthur J. Gallagher & Co.		2,536,414
	40,755	CNO Financial Group Inc.		951,222
	29,385	FNF Group		1,394,612
	65,958	Genworth Financial Inc., Class A, (3)		253,938
	74,204	Hartford Financial Services Group, Inc.		4,113,128
	2,764	Kemper Corporation		146,492
	59,222	Lincoln National Corporation		4,351,633
	92,040	Marsh & McLennan Companies, Inc.		7,713,872
	43,987	Travelers Companies, Inc.		5,389,287
		Total Insurance		39,393,258
		Internet & Direct Marketing Retail – 2.9%
	29,393	Amazon.com, Inc., (3)		28,256,961
	5,279	HSN, Inc.		206,145
	34,353	Netflix.com Inc., (3)		6,229,917
	4,199	Priceline Group Inc. (The), (3)		7,687,613
		Total Internet & Direct Marketing Retail		42,380,636
		Internet Software & Services – 5.7%
	32,153	Akamai Technologies, Inc., (3)		1,566,494
	26,343	Alphabet Inc., Class A, (3)		25,650,706
	17,807	Alphabet Inc., Class C, (3)		17,078,872
	93,848	eBay Inc., (3)		3,609,394
	186,920	Facebook Inc., Class A, (3)		31,939,020
	7,034	IAC/InterActiveCorp, (3)		827,058
	29,336	VeriSign, Inc., (3)		3,121,057
		Total Internet Software & Services		83,792,601
		IT Services – 3.2%
	8,906	Alliance Data Systems Corporation		1,973,124
	51,824	Automatic Data Processing, Inc.		5,665,400
	22,729	DXC Technology Company		1,951,967
	53,917	Fidelity National Information Services, Inc.		5,035,309
	58,645	International Business Machines Corporation		8,508,217
	101,528	PayPal Holdings, Inc., (3)		6,500,838
	170,313	Visa Inc., Class A		17,923,740
		Total IT Services		47,558,595
		Leisure Products – 0.2%
	50,711	Mattel, Inc.		785,006
	14,046	Polaris Industries Inc.		1,469,633
		Total Leisure Products		2,254,639
		Machinery – 2.1%
	55,575	Caterpillar Inc.		6,930,758
	22,091	Cummins Inc.		3,711,951
	27,031	Deere & Company		3,394,823
	15,604	Graco Inc.		1,930,059
	31,693	Hillenbrand Inc.		1,231,273
	36,603	Ingersoll-Rand PLC		3,263,890
	16,893	Parker Hannifin Corporation		2,956,613
	10,877	Snap-on Incorporated		1,620,782
	33,963	Stanley Black & Decker Inc.		5,127,394

NUVEEN 5

BXMX	Nuveen S&P 500 Buy-Write Income Fund
	Portfolio of Investments (continued)	September 30, 2017 (Unaudited)

Shares		Description (1)	Value
		Machinery (continued)
	12,045	Timken Company	$	584,785
		Total Machinery		30,752,328
		Media – 2.7%
	51,987	CBS Corporation, Class B		3,015,246
	384,642	Comcast Corporation, Class A		14,801,024
	32,173	DISH Network Corporation, Class A, (3)		1,744,742
	73,819	New York Times Company (The), Class A		1,446,852
	124,653	News Corporation, Class A		1,652,899
	46,679	Omnicom Group, Inc.		3,457,514
	31,371	Regal Entertainment Group, Class A		501,936
	135,561	Walt Disney Company		13,362,248
		Total Media		39,982,461
		Metals & Mining – 0.3%
	10,734	Alcoa Corporation, (3)		500,419
	20,083	Barrick Gold Corporation		323,135
	53,920	Newmont Mining Corporation		2,022,539
	27,776	Nucor Corporation		1,556,567
	9,542	Southern Copper Corporation		379,390
		Total Metals & Mining		4,782,050
		Mortgage Real Estate Investment Trusts – 0.0%
	10,398	Annaly Capital Management Inc.		126,752
		Multiline Retail – 0.5%
	29,494	Dollar Tree Inc., (3)		2,560,669
	35,478	Macy’s, Inc.		774,130
	22,535	Nordstrom, Inc.		1,062,525
	23,907	Sears Holding Corporation, (3)		174,521
	52,729	Target Corporation		3,111,538
		Total Multiline Retail		7,683,383
		Multi-Utilities – 1.4%
	54,853	Ameren Corporation		3,172,698
	57,390	Consolidated Edison, Inc.		4,630,225
	18,999	NorthWestern Corporation		1,081,803
	126,000	Public Service Enterprise Group Incorporated		5,827,500
	93,975	WEC Energy Group, Inc.		5,899,750
		Total Multi-Utilities		20,611,976
		Oil, Gas & Consumable Fuels – 5.1%
	74,927	Cenovus Energy Inc.		750,769
	142,026	Chevron Corporation		16,688,055
	141,477	ConocoPhillips		7,080,924
	28,455	CONSOL Energy Inc., (3)		482,028
	48,000	Continental Resources Inc., (3)		1,853,280
	136,678	Encana Corporation		1,610,067
	303,531	Exxon Mobil Corporation		24,883,471
	77,129	Hess Corporation		3,616,579
	96,063	Occidental Petroleum Corporation		6,168,205
	25,543	ONEOK, Inc.		1,415,338
	2,376	PetroChina Company Limited, ADR		152,325
	62,743	Phillips 66		5,747,886
	17,453	Suncor Energy, Inc.		611,379
	42,524	Valero Energy Corporation		3,271,371
		Total Oil, Gas & Consumable Fuels		74,331,677
		Pharmaceuticals – 5.2%
	29,566	Allergan PLC		6,059,552
	128,075	Bristol-Myers Squibb Company		8,163,500

6 NUVEEN

Shares		Description (1)	Value
		Pharmaceuticals (continued)
	83,783	Eli Lilly and Company	$	7,166,798
	201,132	Johnson & Johnson		26,149,171
	207,746	Merck & Company Inc.		13,301,976
	450,551	Pfizer Inc.		16,084,671
		Total Pharmaceuticals		76,925,668
		Professional Services – 0.1%
	12,486	Manpower Group Inc.		1,471,101
		Road & Rail – 0.5%
	56,924	Norfolk Southern Corporation		7,527,630
		Semiconductors & Semiconductor Equipment – 3.7%
	73,163	Analog Devices, Inc.		6,304,456
	36,381	Broadcom Limited		8,823,848
	373,690	Intel Corporation		14,230,115
	31,154	Lam Research Corporation		5,764,736
	50,716	Microchip Technology Incorporated		4,553,282
	48,737	NVIDIA Corporation		8,712,713
	113,968	QUALCOMM, Inc.		5,908,101
		Total Semiconductors & Semiconductor Equipment		54,297,251
		Software – 5.5%
	78,973	Activision Blizzard Inc.		5,094,548
	61,623	Adobe Systems Incorporated, (3)		9,192,919
	26,327	Autodesk, Inc., (3)		2,955,469
	24,616	CDK Global Inc.		1,553,023
	6,526	Dell Technologies Inc., Class V, (3)		503,872
	555,184	Microsoft Corporation		41,355,656
	251,120	Oracle Corporation		12,141,652
	78,950	salesforce.com, inc., (3)		7,375,509
		Total Software		80,172,648
		Specialty Retail – 2.6%
	5,637	Abercrombie & Fitch Co., Class A		81,398
	32,842	American Eagle Outfitters, Inc.		469,641
	33,823	Best Buy Co., Inc.		1,926,558
	38,320	CarMax, Inc., (3)		2,905,039
	32,059	Gap, Inc.		946,702
	96,416	Home Depot, Inc.		15,769,801
	29,789	L Brands Inc.		1,239,520
	89,576	Lowe’s Companies, Inc.		7,160,705
	32,953	Ross Stores, Inc.		2,127,775
	21,051	Tiffany & Co.		1,932,061
	52,140	TJX Companies, Inc.		3,844,282
		Total Specialty Retail		38,403,482
		Technology Hardware, Storage & Peripherals – 4.3%
	368,147	Apple, Inc.		56,738,816
	118,686	Hewlett Packard Enterprise Company		1,745,871
	152,670	HP Inc.		3,047,293
	47,725	NetApp, Inc.		2,088,446
		Total Technology Hardware, Storage & Peripherals		63,620,426
		Textiles, Apparel & Luxury Goods – 0.4%
	83,601	VF Corporation		5,314,516
		Thrifts & Mortgage Finance – 0.1%
	105,082	MGIC Investment Corporation, (3)		1,316,677
		Tobacco – 1.6%
	159,153	Altria Group, Inc.		10,093,483

NUVEEN 7

BXMX	Nuveen S&P 500 Buy-Write Income Fund
	Portfolio of Investments (continued)	September 30, 2017 (Unaudited)

Shares		Description (1)					Value
		Tobacco (continued)
	11,631	British American Tobacco PLC					$	726,356
	110,843	Philip Morris International, Inc.						12,304,681
	22,323	Vector Group Ltd.						456,952
		Total Tobacco						23,581,472
		Wireless Telecommunication Services – 0.0%
	21,183	Sprint Corporation, (3)						164,804
		Total Long-Term Investments (cost $805,182,741)						1,476,086,299
Principal Amount (000)		Description (1)	Coupon		Maturity		Value
		SHORT-TERM INVESTMENTS – 2.9%
		REPURCHASE AGREEMENTS – 2.9%
$	42,331	Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/17, repurchase price $42,331,446, collateralized by $43,585,000 U.S. Treasury Notes, 2.000%, due 2/15/25, value $43,180,531		0.120%		10/02/17	$	42,331,023
		Total Short-Term Investments (cost $42,331,023)						42,331,023
		Total Investments (cost $847,513,764) – 103.5%						1,518,417,322
		Other Assets Less Liabilities – (3.5)% (4)						(51,141,496	)
		Net Assets – 100%					$	1,467,275,826

Investments in Derivatives as of September 30, 2017

Call Options Written

Description (5)	Number of Contracts			Notional Amount (6)			Exercise Price		Expiration Date		Value
S&P 500® Index		(622	)	$	(154,256,000	)	$	2,480		10/06/17	$	(2,447,570	)
S&P 500® Index		(686	)		(172,186,000	)		2,510		10/13/17		(1,186,780	)
S&P 500® Index		(660	)		(163,350,000	)		2,475		10/20/17		(3,263,700	)
S&P 500® Index		(683	)		(170,067,000	)		2,490		10/20/17		(2,486,120	)
S&P 500® Index		(643	)		(160,750,000	)		2,500		10/20/17		(1,813,260	)
S&P 500® Index		(615	)		(149,137,500	)		2,425		11/17/17		(6,306,825	)
S&P 500® Index		(592	)		(146,520,000	)		2,475		11/17/17		(3,516,480	)
S&P 500® Index		(651	)		(162,750,000	)		2,500		11/17/17		(2,613,765	)
S&P 500® Index		(645	)		(159,637,500	)		2,475		12/15/17		(4,579,500	)
Total Call Options Written (premiums received $20,792,020)		(5,797	)	$	(1,438,654,000	)					$	(28,214,000	)

Fair Value Measurements

Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

Level 1 –	Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –	Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –	Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

8 NUVEEN

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:

	Level 1			Level 2		Level 3		Total
Long-Term Investments:
Common Stocks	$	1,476,086,299		$	—	$	—	$	1,476,086,299
Short-Term Investments:
Repurchase Agreements		—			42,331,023		—		42,331,023
Investments in Derivatives:
Options Written		(28,214,000	)		—		—		(28,214,000	)
Total	$	1,447,872,299		$	42,331,023	$	—	$	1,490,203,322

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recording income, timing differences in recognizing certain gains and losses on investment transactions and the recognition of unrealized gain or loss for tax (mark-to-market) on options contracts. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

The tables below present the cost and unrealized appreciation (depreciation) of the Fund’s investment portfolio, as determined on a federal income tax basis, as of September 30, 2017.

For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.

Tax cost of investments	$	848,061,475
Gross unrealized:
Appreciation	$	703,643,393
Depreciation		(33,287,546	)
Net unrealized appreciation (depreciation) of investments	$	670,355,847
Tax cost of options written	$	(28,214,000	)
Net unrealized appreciation (depreciation) on options written	$	—

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

(1) All percentages shown in the Portfolio of Investments are based on net assets.

(2) The Fund may designate up to 100% of its common stock investments to cover outstanding options written.

(3) Non-income producing; issuer has not declared a dividend within the past twelve months.

(4) Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as well as the OTC cleared and exchange-traded derivatives, when applicable. Other assets less liabilities also includes the value of options.

(5) Exchange-traded, unless otherwise noted.

(6) For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Exercise Price by 100.

ADR American Depositary Receipt

NUVEEN 9

Item 2. Controls and Procedures.

a. The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

b. There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	Nuveen S&P 500 Buy-Write Income Fund
By (Signature and Title)	/s/ Gifford R. Zimmerman
	Gifford R. Zimmerman
	Vice President and Secretary

Date: November 29, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)	/s/ Cedric H. Antosiewicz
	Cedric H. Antosiewicz
	Chief Administrative Officer (principal executive officer)
Date: November 29, 2017
By (Signature and Title)	/s/ Stephen D. Foy
	Stephen D. Foy
	Vice President and Controller (principal financial officer)
Date: November 29, 2017